Pricing realized variance options using integrated stochastic variance options in the heston stochastic volatility model (Q1030860)
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scientific article; zbMATH DE number 5574847
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing realized variance options using integrated stochastic variance options in the heston stochastic volatility model |
scientific article; zbMATH DE number 5574847 |
Statements
Pricing realized variance options using integrated stochastic variance options in the heston stochastic volatility model (English)
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3 July 2009
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stochastic volatility models
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Fokker Planck equation
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variance options
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0.8256048560142517
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0.8188111186027527
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0.8106468319892883
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